#ifdef and friends are used by the C preprocessor (CPP). They provide a way to compile code conditionally. You can enable the use of the CPP by adding the pragma {-# LANGUAGE CPP #-} on top of a file.

Many programs that deal with Haskell code set some macros for the preprocessor (eg. GHC sets __GLASGOW_HASKELL__ to the version of GHC), so one can conditionally compile code, for instance to use different properitary libraries for Hugs and GHC.